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STAY TUNED! If you are anticipating additional search filters by attribute and level to align with the CAS Capability Model, it is coming later this Summer. As the CAS begins to code recorded sessions by specific attributes and levels (starting with the 2023 Annual Meeting), these will be tagged in the CAS database of presentations going forward and should be searchable.
But you may use the Capability Model now to help you identify topics. For example, if you want to move up one level under the content area “Functional Expertise,” you may search topics in the particular functional area to expand your knowledge.
Recorded content is searchable by Capability Model attribute and level in the CAS Online Library.
Movie Ticket, $8; Popcorn, $5; Pay-As-You Drive Insurance, $1.10
Pricing actuaries attempt to determine rating plans that match the rates to the risk posed by the insured. Historically, personal lines auto insurers have used car-years as the exposure unit and used variables such as garage location, usage, and annual mileage as proxies for the amount, place, time, and type of driving.
Recent technological advancements allow actual driving patterns to be tracked and transmitted. Presumably, insurers could use this information to refine their rating plans and determine more equitable rates for all consumers. In addition to reducing current inequities, many feel a more accurate rating plan would provide economic incentives that would reduce the amount of driving, especially "risky driving." A reduction in miles driven would not only benefit the environment, but would also reduce the number of accident-related injuries and deaths.
This panel will describe the basic concept of Pay-As-You-Drive (PAYD) insurance, discuss the benefits of PAYD, and highlight some of the barriers to implementation.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Valentina Isakina
Panelists:
Robin Harbage, Todd Litman
Loss Reserve Discounting
This session will provide the perspective of actuaries in three areas where discounting is common practice: Captives, Self-insurers, and Canadian Insurance Companies. The panel will also provide the latest scoop on where international accounting practices are headed, particularly in the European Community.
Captives and Self-insurers: Reserve discounting remains relatively common in some business segments, such as medical malpractice mutuals. The panelists will discuss some of the more common issues that self-insurers and captives consider when deciding whether or not to discount their loss reserves. They will also present the regulatory, practical, and technical considerations that are commonly encountered by self-insurers and captives.
Canadian Accounting: Beginning in 2003, Canadian insurance companies are discounting loss reserves as standard practice. We will discuss the reasoning for this policy change, as well as implementation issues that have surfaced.
International Accounting: The International Accounting Standards Board stated an intent to implement discounted loss reserves as part of their insurance accounting standards project, with implementation possible by 2008, and these standards will be mandatory in the European Union. Is some form of discounting (and possibly fair value) inevitable in the United States?
Following their presentations, the panel will invite attendees to join in a general discussion of the technical, practical, and political challenges faced when discounting loss reserves.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Valentina Isakina
Panelists:
Joseph Herbers, Ralph Blanchard
How to get the biggest bang for your reinsurance buck
It is well understood that reinsurance pricing starts with the use of experience and exposure rating models and the reconciliation between the two. However, what else can be done to ensure that reinsurance prices are properly set regardless of the state of the underwriting cycle?
This panel will discuss the importance of data in establishing the proper price. In order to get the best rate for the reinsurance product, the data requirements for ceding companies are greater than they were a few years ago. When the data is lacking, there is greater uncertainty about the reinsurance product, leading actuaries to be conservative. For example, price-monitoring information is very important. The better the information a ceding company can provide to support significant rate increases, the better off they will be. Another example of the importance of data is that many companies have made significant changes in their underwriting practices that are difficult to reflect in the estimate of loss costs if sufficient data is not provided to measure them.
This panel will discuss a variety of important issues that can assist the role of the Reinsurance Pricing actuary.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Jim Clarke
Panelists:
Michele Bernal, Daniel Carberry
Estimated Reserve Ranges - How Do We Determine "Reasonableness"?
So you've decided its time to calculate a range of liability estimates before your management sets reserves, what do our guidelines and standards of practice say about which parts of that range constitutes a reasonable estimate? This session will briefly review relevant guidelines and standards and examine different types of methods for calculating ranges, but will focus on using a statistical approach for determining what constitutes a reasonable reserve estimate.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Robert Mark
Panelists:
Lee Slyke
Data Quality and Standards
The quality of data used in loss reserving and other analysis has always been an important issue among actuaries, but has never been as hot an issue as it is today. For Sarbanes-Oxley 302 and 404 certifications, publicly traded insurance companies will have to demonstrate that they have stringent controls surrounding data quality to the extent that such data impacts the company's financial statements.
In addition, perhaps in response to certain solvency concerns, the quality of data used in loss reserving analyses has also become a heightened focus of many regulators. In response, the NAIC is expected to modify the 2004 annual statement instructions to require additional testing procedures be performed by an independent certified public accountant on the data used by the opining actuary.
Further, the Actuarial Standard of Practice #23 - Data Quality is in the process of being updated by the Actuarial Standards Board for several purposes, one of which is to clarify the actuary's role and responsibilities as it relates to data quality.
The panel will discuss each of these issues and provide insights into what is expected of actuaries in the future.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Jay Glacy
Panelists:
Mark Littmann, John McCauley
Capping of Non-Economic Damages in Medical Malpractice Claims
In recent years, medical professional liability insurance premium and claims costs have soared. Stories about physicians relocating from individual states or leaving the practice of medicine altogether are widely reported. Most tort reform efforts at both federal and individual state levels are based on the 1975 California MICRA reform. The centerpieces of MICRA are arbitration and a $250,000 cap on non-economic damages.
This session will begin with a historical perspective on the current crisis along with discussions about tort reform efforts on both a federal and specific state level. The session will continue with a presentation of a recent actuarial analysis estimating the impact of implementing non-economic damage caps in the state of Pennsylvania.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Jay Glacy
Panelists:
Richard Biondi, William Bell
ARIA Prize Paper: "Fraud Classification Using Principal Component Analysis of RIDITs"
This paper introduces to the statistical and insurance literature a mathematical technique for an a priori classification of objects when no training sample exists for which the exact correct group membership is known. The article also provides an example of the empirical application of the methodology to fraud detection for bodily injury claims in automobile insurance.
With this technique, principal component analysis of RIDIT scores (PRIDIT), an insurance fraud detector can reduce uncertainty and increase the chances of targeting the appropriate claims so that an organization will be more likely to allocate investigative resources efficiently to uncover insurance fraud. In addition, other (exogenous) empirical models can be validated relative to the PRIDIT-derived weights for optimal ranking of fraud/nonfraud claims and/or profiling. The technique at once gives measures of the individual fraud indicator variables' worth and a measure of individual claim file suspicion level for the entire claim file that can be used to cogently direct further fraud investigation resources. Moreover, the technique does so at a lower cost than utilizing human insurance investigators, or insurance adjusters, but with similar outcomes. More generally, this technique is applicable to other commonly encountered managerial settings in which a large number of assignment decisions are made subjectively based on "clues," which may change dramatically over time. This article explores the application of these techniques to injury insurance claims for automobile bodily injury in detail.
Source:
2004 Spring Meeting
Type:
Paper
Moderators:
Jay Glacy
Panelists:
Richard Derrig, Patrick Brockett, Linda Golden, Arnold Levine, Mark Alpert
Keywords:
ARIA Prize
The Actuary and Management
How does a senior actuary at a property/casualty insurance company gain and sustain the attention of the senior management team on forecast and reserve results without bogging down communications with technicalities and jargon? The panelists will demonstrate how actuarial reserving and pricing analyses can be interconnected with the core concerns of the CEO, President, CFO, and Chief Underwriting Officer.
One presentation will describe a coordinated planning process that is driven by a CEO's desired ROE for the upcoming underwriting year. The discussion will illustrate that by starting with the reserve loss ratio indications and pricing assumptions, the actuaries and underwriters can work together towards a common ROE goal.
In addition, a reserving presentation will show the uses of an expected loss emergence monitoring process to communicate loss reserve indications to senior management. Discussion will include how the senior actuarial team "educated" the company managers to interpret and rely on reserve estimates and, further, how this information should be relayed to the parent company.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Jay Glacy
Panelists:
Roger Atkinson, John Burville
Actuaries in Nontraditional Roles
Casualty actuaries are continuing to expand into nontraditional areas of practice, including those related to risk management, financial management, underwriting, claims, and public policy.
The panelists will discuss their nontraditional positions, including their day to day activities and the obstacles they face being an actuary in a non-actuarial role.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Jack Gibson
Panelists:
Eric Lemieux, Todd Bault, John Mulhall
A Proposed Global Framework for Insurer Solvency Assessment
Acting in support of the International Association of Insurance Supervisors (IAIS), the Insurance Regulation Committee of the International Actuarial Association (IAA) formed the Insurer Solvency Assessment Working Party in early 2002 to prepare a report on insurer solvency assessment. This report represents the culmination of that mandate and is meant to help develop a global framework for insurer solvency assessment and determine insurer capital requirements.
In the course of its mandate, the Working Party presented its work to various insurance supervisory and actuarial meetings. Feedback from these presentations has been both positive and constructive. This session will discuss the critical components of the Working Party's recommendations. Audience participation and discussion is strongly encouraged.
Source:
2004 Spring Meeting
Type:
general
Moderators:
William Panning
Panelists:
Glenn Meyers, Allan Brender
CLOSING REMARKS
Source:
2004 Enterprise Risk Management Symposium
Type:
general
Moderators:
William Panning
Panelists:
Prakash Shimpi, Thomas Ho
Pandemic History and Financial Implications - Focus on Flu Epidemics
How bad does an outbreak need to be before it threatens the solvency of the insurance industry? In WWI more deaths were attributed to the "Spanish flu" than to the hostilities themselves. Politicians struggled to decide between required isolation and encouraging Liberty Loan drives (war bond rallies) to raise money for the war. While there have been many improvements for treating flu since 1918, many think it is only a matter of time before the next flu pandemic. This session will share background of flu and the recent SARS outbreaks and discuss modeling efforts to determine how severe an outbreak affect might become.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
William Panning
Panelists:
Max Rudolph, Dave Ingram
Extreme Value Models and Methods - Actuarial Applications
In today's business environment, extreme events are commanding more attention. These events have very low frequencies (e.g., once-a-century) but extraordinarily high costs. Research has shown that the Normal Distribution, which is often used in risk measurement, underestimates the impact of these events, sometimes significantly. Consequently, more expertise in this aspect of risk management is needed. The three teaching sessions introduce new families of distributions for modeling the distributions of the extreme values and discuss their applications to risk management in general and actuarial science in particular.
These sessions will each stand alone while providing a solid background to build on. The sessions have been organized by the SOA Risk Management Task Force Extreme Value Modeling subgroup.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Conway
Panelists:
Steven Craighead, H.N. Nagaraja
Extreme Value - Estimating Parameters
In today's business environment, extreme events are commanding more attention. These events have very low frequencies (e.g., once-a-century) but extraordinarily high costs. Research has shown that the Normal Distribution, which is often used in risk measurement, underestimates the impact of these events, sometimes significantly. Consequently, more expertise in this aspect of risk management is needed. The three teaching sessions introduce new families of distributions for modeling the distributions of the extreme values and discuss their applications to risk management in general and actuarial science in particular.
These sessions will each stand alone while providing a solid background to build on. The sessions have been organized by the SOA Risk Management Task Force Extreme Value Modeling subgroup.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Conway
Panelists:
Steven Craighead, H.N. Nagaraja
Extreme Value Models and Methods - Theory
In today's business environment, extreme events are commanding more attention. These events have very low frequencies (e.g., once-a-century) but extraordinarily high costs. Research has shown that the Normal Distribution, which is often used in risk measurement, underestimates the impact of these events, sometimes significantly. Consequently, more expertise in this aspect of risk management is needed. The three teaching sessions introduce new families of distributions for modeling the distributions of the extreme values and discuss their applications to risk management in general and actuarial science in particular.
These sessions will each stand alone while providing a solid background to build on. The sessions have been organized by the SOA Risk Management Task Force Extreme Value Modeling subgroup.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Conway
Panelists:
Steven Craighead, H.N. Nagaraja
Integrated Treatment of Enterprise-wide Risks
Virtually all enterprises must deal with health, life, pension, property/casualty, investment, operational and business risks. The panelists will first highlight similarities and differences between these risks. They will then discuss both theoretical and practical challenges to integrate underlying risks, as well as how insights gained from integrated analysis of risks could serve for better decisions. They will cover a variety of issues including volatility of benefits/losses by line of insurance, adverse development in reserves, unexpected losses in investments, linking risk, capital, earnings volatility and value, correlations (dependencies) between risks for purposes of identifying capital needs, evaluating reinsurance needs, allocating the cost of capital, optimising investment decisions, and planning growth.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Shaun Wang
Panelists:
John Kollar, Ugur Koyluoglu, Rajeev Dutt
Nonlinear Dynamics and Complex Systems: Understanding the Basics for Future Enterprise Risk Management Applications
A number of advanced tools and concepts have been explored recently, with an eye toward better explanations of complex processes. Although all somewhat distinct, these concepts are frequently discussed together: chaos, complexity, nonlinear dynamics, cellular automata, genetic algorithms, percolation - the list goes on and on. Many people - some of remarkable distinction and achievement - believe that these approaches hold the key for future modeling of complex dynamical systems. Some people are not so sure.
Some of these tools may indeed have important risk management applications in various industries. This session will discuss the basic concepts and underlying theory behind nonlinear dynamics and complex systems modeling. It should appeal to anyone who is interested in new and emerging approaches that might have value to enterprise risk management and will provide a particular value to actuaries and other risk management professionals.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Shaun Wang
Panelists:
Richard Gorvett
Operational Risk Issues
In this session, seasoned practitioners address two issues within the operational risk framework: risk integration issues and a Six Sigma approach.
An Integrated Framework for Measuring and Managing Operational Risk
As organizations struggle to comply with the Basel II requirements for operational risk, even the largest and most sophisticated organizations are discovering that developing a truly integrated operational risk measurement and management program is a daunting task. While virtually everyone recognizes that the key elements of such a program include loss data and indicators, risk and control assessment, and VaR calculation, few understand how to integrate these disparate measures into a theoretically valid framework that supports both capital allocation and managerial decision-making. This presentation will help identify the many challenges and will suggest practical solutions to these issues.
Optimizing Institutional Performance and Minimizing Operational Risk with Six Sigma
Operational risk exposes organizations to losses resulting from inadequate or failed internal processes, people, systems, or external events (ref. Basel Committee's Revised Working Paper, September 2002). Basel II imposes a capital charge for operational risk, but allows for mitigation of this charge through enhanced risk management. Understanding and controlling operational risk will allow financial institutions to experience fewer internal errors, increased investor confidence and customer perception, and improved agency ratings. Six Sigma provides a very effective means for controlling and minimizing operational risk.
Through the application of a powerful set of analytical tools linked to a very rigorous gated process, the Six Sigma methodology, when executed properly, will ensure the optimization of an institution's performance, resulting in minimal operational risk and corresponding financial benefits. This session will provide a roadmap for applying the Six Sigma methodology to the operational risk arena and discuss the tangible benefits that will result through this approach.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Shaun Wang
Panelists:
Lori Marin, Ali Samad-Khan
Modeling of Economic Series Building a Financial Foundation for Enterprise Risk Management
In May, 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic "Modeling of Economic Series Coordinated with Interest Rate Scenarios." The purpose of the RFP was to provide a foundation for future work in the projection of economic and financial scenarios, particularly regarding interest rates, inflation, equity returns, dividend yields, real estate returns, and unemployment. At this session, the researchers will present the results from this project, which included a review of relevant work in the economic, financial, and actuarial literature, the identification and development of appropriate data sources and methodologies, and the creation of a model, to be made publicly, for projecting economic scenarios. This work has relevance to any risk management applications involving financial scenario modeling, including dynamic financial analysis, regulatory and management tests, and cash-flow testing.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Shaun Wang
Panelists:
Richard Gorvett, Stephen D'Arcy, Kevin Ahlgrim
Risk and Capital Modeling - Getting the Details Right
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Dave Ingram
Panelists:
Gary Venter, Richard Goldfarb
Credit Risk
This session provides a comprehensive discussion on the current state of the practice of credit risk management. Top industry experts on credit risk share their insight on various issues facing credit risk practitioners and discuss lessons learned from own experiences. The panel will discuss practical issues arising in developing internal credit models (ISDA), and address fundamental vs. quantitative issues. In addition, the discussion will cover implications of credit loss distribution shape on modeling and practical issues in dealing with fat tails and uncertain variance/covariance, loss given default. Audience's questions and participation are welcomed and encouraged.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Dave Ingram
Panelists:
Peter Davis, Jon Frye, Michael Ong, Mingsung Tang
Basel II - Practical Issues
An incentive driving massive organizational investment in risk management for Basel II implementation has been a proposal for a more flexible capital requirement framework utilizing internal models. This framework allows minimizing capital vs. an older prescriptive approach like RBC, while achieving specific risk management targets. This session reviews what this approach will mean for both banks and regulators, contrasts expected and unexpected issues arising in practice, discusses progress of the banking institutions down this path, and addresses implications for insurers. Canadian financial institutions - both banks and insurers - are already preparing for Basel II, and many other countries are also starting to be impacted by the issues of integrated capital requirements for financial institutions.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Don Mango
Panelists:
Allan Brender, David Sandberg, Larry Gorski, Til Schuermann
Three Risks of Risk Measures How to properly use Value-at-Risk in Capital Allocation for Asset Management
As Value-at-Risk (VaR) based systems for measuring and managing market risks become popular, there is a growing perception among practitioners that VaR limits can lead to traders or fund managers taking overly risky positions and cause excess volatility in financial markets. These conclusions might be premature. In this talk, the expert practitioner and researcher discusses three fundamental risks that must be overcome in order to effectively use VaR to guide capital allocation in asset management: preference risk, model risk, and estimation risk. Preference risk concerns the misspecification of risk constraints. While a static VaR limit might increase risks in certain ''bad'' states of the economy, a dynamic time-consistent VaR limit might reduce risks in the same states. Model risk concerns the distributional assumptions of the investment returns. Extreme market moves are typically not rare. Careful modeling of market microstructure mechanisms for generating extreme movements is essential for building a robust VaR system. Estimation risk concerns the precision and bias of volatility measurement in both short (trading desks) and long time horizons (pensions and insurers).
The session will demonstrate that any risk measure - VAR included - is only useful for capital allocation or risk management if the practitioner understands portfolio implications, mechanisms for rare events, and where to measure risk that matters most to the organization.
Source:
2004 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Hubert Mueller
Panelists:
Kenneth Yip
Insurance Applications of Bivariate Distributions
A technique is demonstrated for aggregating bivariate claim size distributions using a two-dimensional Fast Fourier Transform. Three insurance applications are described in detail relating to:
1) individual risk rating,
2) loss and allocated expenses, and
3) Dynamic Financial Analysis.
Source:
2003 Annual Meeting
Type:
Paper
Panelists:
David Clark, David Homer
What's Next: Federal Terrorism Legislation
With the passage of the Terrorism Risk Insurance Act, insurance companies must now offer terrorism coverage, with a separate premium charge, in order to be covered by the federal reinsurance plan. This requirement creates a new challenge for actuaries as most pricing indications in the past either did not explicitly contemplate this risk, or assumed the risk load in the rates charged was sufficient to cover this risk. The panelists will discuss issues that actuaries need to consider in developing rates for terrorism coverage, including exposure modeling.
Source:
2003 Annual Meeting
Type:
concurrent
Moderators:
Timothy Koester
Panelists:
David Lalonde, Christopher Yaure
Keywords:
Terrorism Risk Insurance Act, terrorism
